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Calendar spreads that adjust themselves
Sells the near monthly NIFTY expiry and buys the next one at the same strikes (a put calendar below and a call calendar above the index), adds a fresh calendar when NIFTY moves away, rolls before expiry and stays out when VIX is high. One row per calendar.
Research: which settings make it work?Hundreds of combinations over ten years, checked on unseen data. See the winners.Loading results…